Point Processes and Jump Diffusions: An Introduction with Finance Applications

Bjork, Tomas

ISBN 10: 1316518671 / ISBN 13: 9781316518670

Editore: Cambridge University Press, 2021

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Dati bibliografici

• Titolo: Point Processes and Jump Diffusions: An Introduction with Finance Applications
• Editore: Cambridge University Press
• Data di pubblicazione: 2021
• Lingua: Inglese
• ISBN 10: 1316518671
• ISBN 13: 9781316518670
• Rilegatura: Hardcover
• Edizione: First Edition.
• Condizione: Like New

Descrizione articolo

Riassunto

Develop a deep understanding and working knowledge of point-process theory as well as its applications in finance.

Informazioni sull?autore

Tomas Björk is Professor Emeritus of Mathematical Finance at the Stockholm School of Economics and previously worked at the Mathematics Department of the Royal Institute of Technology, Stockholm. Björk has been co-editor of Mathematical Finance, on the editorial board for Finance and Stochastics and several other journals, and was President of the Bachelier Finance Society. He is particularly known for his research on point-process-driven forward-rate models, finite-dimensional realizations of infinite dimensional SDEs, and time-inconsistent control theory. He is the author of the well-known textbook Arbitrage Theory in Continuous Time (1998), now in its fourth edition.